Description Usage Format Source References Examples
The following is adapted from chapter 17 of Ruppert (2010).
The data object contains yields on Treasury bonds at 11 maturities, T = 1, 3, and 6 months and 1, 2, 3, 5, 7, 10, 20, and 30 years. Daily yields were taken from a U.S. Treasury website for the time period January 2, 1990, to October 31, 2008.
Daily yields were missing from some values of T because, for example to quote the website, "Treasury discontinued the 20-year constant maturity series at the end of calendar year 1986 and reinstated that series on October 1, 1993." Dif- ferencing may cause a few additional days to have missing values.
1 |
xts time series object
tr.yields
Jan-02-1990 through Oct-31-2008
SDAFE author's website: http://people.orie.cornell.edu/davidr/SDAFE/index.html
Ruppert, D. (2010). Statistics and data analysis for financial engineering. Springer.
1 2 3 | data(TreasuryYields)
# preview the data
head(tr.yields)
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